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雷达卡
Investing in Corporate Bonds and Credit Risk.rar
by Frank Hagenstein,Alexander Mertz and Jan Seifert
First published in 2004 by
PALGRAVE MACMILLAN
356 pages
ISBN 1–4039–3469–X
v
List of Tables viii
List of Figures xi
Preface xx
Foreword xxi
1 Introduction 1
1.1 Background 1
1.2 Organization of the Book 2
1.3 Setting for Credit Management 4
2 Investment Process 6
2.1 Basic Structure of an Investment Process for
Credit Portfolios 6
2.2 Diversification of Ideas 9
2.3 Quantitative Analyses 13
3 Strategic Asset Allocation 23
3.1 Overview of the Top-down Research Process 23
3.2 Macroeconomic Environment 25
3.3 Valuation 46
3.4 Market Technicals 634 Tactical Asset Allocation 69
4.1 Overview 69
4.2 Spread Class Selection 70
4.3 Sector Allocation 76
4.4 Credit Curve Positioning 98
5 Credit Research 109
5.1 Introduction 109
5.2 The Bottom-up Approach for Industrial Companies 109
5.3 Financial Institutions 163
6 High-Yield Investing 181
6.1 Introduction 181
6.2 Description of the High-yield Market 182
6.3 Drivers of the High-yield Market 190
6.4 Crossover Credits/Fallen Angels 213
6.5 Risk Management in High Yield 217
6.6 Relative Value 221
7 Credit Derivatives 229
7.1 Introduction 229
7.2 Credit Default Swaps 229
7.3 Collateralized Debt Obligations 237
8 Credit Indices 249
8.1 Index Selection 249
8.2 Exchange Traded Funds 253
9 The Role of Ratings 257
9.1 Reducing Information Asymmetry 257
9.2 Ratings and Credit Spreads 260
9.3 The Perspective of Buy-and-hold Investors 262
9.4 The Perspective of an Active Manager 266
9.5 Ratings and Risk Management 268
10 Portfolio Construction 269
10.1 Introduction 269
10.2 Statistical Properties of Bond Returns 272
10.3 Portfolio Optimization with Skewness and Kurtosis 273
10.4 Illiquidity and Portfolio Construction 278
10.5 Out-of-sample Performance of Optimized Portfolios 281
10.6 Long-term Characteristics of Corporate Bond
Portfolios 285
viC O N T E N T S11 Total and Absolute Return Strategies with Credits 288
11.1 Multicurrency Investing 288
11.2 Asymmetric Risk Management for Corporate
Bond Portfolios 292
12 Risk Management 307
12.1 Management of Systematic Risk in Credit Portfolios 307
12.2 Reducing Nonsystematic Risk Through
Diversification 310
12.3 Modeling Default Risk in Credit Baskets 314
References 321
Index 329
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